Pre-Market IV Report November 17, 2023

Pre-Market IV Report November 17, 2023

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Pre-Market IV Report November 17, 2023

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information

Options with increasing option implied volatility: AX SAVE ABR RILY IMGN SNDX GGAL ABR ALTG FIVN ACAD VMW AUPH UGI AX CHS CRSP SOFI UCO SCO PAG CPE BJ AN SILV LAD CPB WFRD ET ENB

Stocks expected to have increasing option volume: BABA AMAT ROST ABR GPS BZH BKE BJ CHPT DLB ZTO DLB

Option movers

Alibaba (BABA) 30-day option implied volatility is at 33; compared to its 52-week range of 33 to 71. Call put ratio 2.2 calls to 1 put.

Chevron (CVX) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 36 as share price near 52-week low. Call put ratio 1 call to 1.4 puts.

Intel (INTC) 30-day option implied volatility is at 32; compared to its 52-week range of 27 to 48 as share price above $43.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 39.

Novo Nordisk (NVO) November call option implied volatility is at 47, December is at 32; compared to its 52-week range of 20 to 67.

Eli Lilly & Co. (LLY) November weekly call option implied volatility is at 39, November is at 29; compared to its 52-week range of 18 to 39. Call put ratio 2.7 calls to 1 put.

Kroger (KR) 30-day option implied volatility is at 33; compared to its 52-week range of 17 to 40 after WMT and TGT results.

PG&E Corp. (PCG) November call option implied volatility is at 60, December is at 23; compared to its 52-week range of 18 to 37 into The California Public Utilities Commission (CPUC) voting on PCG’s request to increase its base rate.

Carvana (CVNA) November call option implied volatility is at 130, December is at 94; compared to its 52-week range of 85 to 266. Call put ratio 1 call to 2 puts.

Snowflake (SNOW) 30-day option implied volatility is at 58; compared to its 52-week range of 37 to 90.

VMware (VMW) 30-day option implied volatility is at 51; compared to its 52-week range of 15 to 262.

Volume movers

SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 23; compared to its 52-week range of 20 to 37. Call put ratio 1 call to 3.2 puts into Black Friday and Cyber Monday.

NICE (NICE) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 82. Call put ratio 2.7 calls to 1 put.

Ishares S&P Global Clean Energy Index Fund (ICLN) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 34. December 15 calls active.

Ishares Russell 1000 Etf (IWB) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 44. Call put ratio 1 call to 32 puts with focus on May 225 puts.

SSR Mining (SSRM) 30-day option implied volatility is at 32; compared to its 52-week range of 28 to 92. Call put ratio 38 calls to 1 put with focus on March 13 calls.

SilverCrest Metals (SILV) 30-day option implied volatility is at 44; compared to its 52-week range of 34 to 91. Call put ratio 51 calls to 1 put with focus on February and May calls.

Ishares Russell 1000 Etf (IWB) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 45. Call put ratio 1 call to 32 puts with focus on May 225 puts.

Chicos FAS (CHS) 30-day option implied volatility is at 44; compared to its 52-week range of 20 to 93. Call put ratio 1 call to 142 puts with focus on May 7 puts.

Arbor Realty Trust (ABR) call put ratio 1 call to 5.9 puts with focus on November 11 and 11.5 put spreaders.

Straddle prices into quarter results

Agilent Technologies (A) December 115 straddle is priced for a move of 7% into the expected release of quarter results after the bell on November 20.

Zoom Video (ZM) November weekly 63 straddle is priced for a move of 16% into the expected release of quarter results after the bell on November 20.

Urban Outfitters (URBN) November weekly 35 straddle is priced for a move of 8% into the expected release of quarter results on November 20.

Options with decreasing option implied volatility: SE GRPN AAOI M AAP TTD U ACHR STNE HE TGT ILMN STNE PANW TSN ONON BBWI XP CSIQ TSEM
Increasing unusual option volume: FIVN GGAL SSRM VNET NICE SILV URTY SNY PSEC RILY PLCE SONO OTLY ROST
Increasing unusual call option volume: SSRM FIVN GGAL SILV IHI URTY PPL DB BJ GT OTLY
Increasing unusual put option volume: MAXN PAYC XP XND ROST GFI PSEC
Popular stocks with increasing volume: INTC CSCO SOFI WMT PANW M NIO RIVN
Active options: TSLA AAPL NVDA AMZN MSFT INTC BABA AMD CSCO SOFI WMT META GOOGL PLTR PANW MARA M GOOG NIO RIVN
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $73.50, natural gas up 1%, gold at $1994

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